对完全的日内交易来说“宽幅波动”和“窄幅波动”的特性类似的,主要差别在交易成本上。 另外一个是看你的日内交易是“趋势交易”还是“反趋势”交易。 如果你是以“波动率”为主要参数的话(百分比的),日内交易的“宽幅波动”和“窄幅波动”的特性差别很小。
joesan, since you mentioned Kiwi, so I guess I should share few links: http://www.trading-naked.com/FloorTraderMethod.htm , http://www.forexfactory.com/showthread.php?t=11854 , and http://trade-method.blogspot.com/ . Few years back he said his method was evolved around the Floor Trader Mehtod, I don't know if he changes his trading method recentaly. Anyway, I highly value FTM, because it implicitly encodes a fundamental market law in its rule.
One should realize that either volatility or range is a relative measure which depends on which time frame is used. A narrow-range move in a higher time frame may be a wide-range move in a lower time frame. So if you have a way to deal with wide-range moves then theoretically you can deal with those narrow-range moves just by going down to a lower time frame. When the market is in consolidation, it usually has narrow-range, breakout approach can be a viable option for this case. Of course you can just pass these narrow-range moves and wait for them to develop into something you are familiar with.
1. Try to get good data .2. Using empirical mode data decompositions 3. need do some intermittency to filter jump open 4. then you will find the real IMFs (IMFs , “intrinsic mode functions” ) ,mode of that market! The method was complex . Key word : EMD (empirical mode data decompositions ) HHT ( the Hilbert-Huang transform )Then get the idea , If needed , can buy software from US NASA http://techtransfer.gsfc.nasa.gov/HHT/
joesan:能不能谈谈这个方法的思路~让我们学习一下。 一般来说,策略对市场的波动性总是敏感的。趋势系统希望忽略小波动紧盯大趋势,在低波动市场盈利能力低。所以在开发一个系统的时候是否要有判断市场波动性的模块?
窄幅波动日通过增加交易手数来维持总的期望收益很大程度上会隐性的增加风险水平。 从宽幅波动过渡到窄幅波动时一般是个渐变的过程,头寸规模的影响是中性的(收益和风险是同步降低的),而从窄幅波动到宽窄幅波动往往是突变的,头寸规模变化的影响就不是中性的了,虽然可能有人从理论上说是中性的,但实际上不是的,因为你不知道这个突变带来的收益/风险的发生次序,如果你通过增加交易手数来维持总的期望收益,而突变发生时正好先出现对你不利的情况,那实际的风险值就会是你“系统”预估倍数(这个倍数和你增加的交易手数相关)。这个也就是难点所在。
wj2000 我所指的窄幅波动不是短期的窄幅波动 而是在相当长时间内 呈现窄幅波动 区分窄幅和宽幅 我有自己的一套标准和自制指标 joesan 提到了日内波动/价格<1%和绝对波幅〈200 这也是一种衡量的标准 有很多宝贵的经验和想法碍于论坛形式无法很好的交流 希望和做日内的朋友私下切磋
robinxing: 我知道你说的"窄幅波动"包含相当长时间内 呈现窄幅波动,个人觉得和宽幅波动类似,差别主要在交易成本上,比如外汇,它的日间波动一般情况下可以算窄幅波动( <1%,如果以1分为单位的话,小数点后2位,也就因为波动很小,所以在交易上采用了小数点后4位的计算方式,同时相对降低交易成本,才使这个平常/日常实际生活的的窄幅波动转化为金融市场上的“宽幅波动”)。差别就在于交易成本和计价方式。